To qualify as a potential swing trade with full position size, individual stocks should trade with a minimum
average daily volume of at least 1 million shares.
It was once commonly thought that you needed a threshold of
average daily volume in order to get solid trading execution.
As of this update, a minimum liquidity filter has also been added, requiring 20,000 shares or greater in
average daily volume over the preceding 20 days.
If, for instance, you see
high average daily volume in a stock what is your real liquidity if the volume is the result of a nano second of high speed trading?.
Well, there are many ETF investors who still use
average daily volume as one of the main determining factors for their ETF selection.
Worldwide geopolitical tensions could have impacted the fact that
average daily volume for VIX futures during ETH has risen each of the past 3 months.
The Liquidity Realtime Rating is calculated using the historical three
month average daily volume (ADV); the ETP with the highest ADV receives the best Realtime Rating (A +).
The thumb - rule is to choose very liquid stocks, i.e. the stocks that have a high
average daily volume so that they are bought and sold in high volumes without affecting the prices much.
CSJ has $ 10.84 billion in AUM and
steady average daily volume of $ 62.76 million, which provides sufficient liquidity for institutional trades.
One more thing to watch out for is the thought that by using market orders on stocks with a
depleted average daily volume, in such conditions in the market where the ask price is a lot higher than the current market price which may result in a large spread.
[Short interest ratio = amount of shares shorted / average daily volume]
In the last 24 - hours, exchange volume is stated at 593 BTC, and when launched the exchange set a goal of 200
BTC average daily volume.
Average daily volume of trading on ASX in Mirabela Nickel, for example, has risen by 959 % and in Intrepid Mines by 417 %, since they dual listed on TSX.
Thinly traded stocks, those with
low average daily volumes, may execute at prices much higher or lower than the current market price.
Whether defined with reference to 1 - month, 6 - month, or 12 -
month average daily volume, the illiquidity factor produces economically and statistically significant benefits in the United States.
But Cboe said exchange - traded products betting against the VIX account for 5 percent of
average daily volume in VIX futures.
However, if you are not comfortable after trying it you can limit your trades to stocks with a
higher average daily volume of 10M, 100M or higher.
«We used to always target a certain percentage of
the average daily volume [of equities] to not have a big market impact,» says Eric Bushell, CI's chief investment officer.
The bourse said
the average daily volume on SETS rose 58 % and new issue values were up 57 %.
[Thursday] we saw approximately 1.5 times
the average daily volume.»
Average daily volume in the last 10 days is 67,000 shares.
Last week, this system carried
an average daily volume of around 1,100 payments, with average daily value around $ 13 billion.
Since banks, mutual funds, hedge funds, pension funds, and other institutions control more than 50 % of the market's
average daily volume, the direction of the stock market nearly always follows the institutional money flow.
Since institutional trading accounts for roughly 80 % of the stock market's
average daily volume, the price action of stocks and ETFs is typically driven by the actions of the «smart money.»
It is calculated as the Short Interest for the Current Month divided by
the Average Daily Volume.
This represents the number of days it would take to cover the Short Interest if trading continued at
the average daily volume for the month.
Frankly, I feel many individual retail traders get too hung up about
the average daily volume of a stock.
Note that our requirement for 1 million shares per day is only for individual stocks; we have a much lower requirement for ETFs, as high
average daily volume is largely irrelevant when trading ETFs.
Its total assets and
average daily volume are both less than I generally prefer but sufficient for most transactions.
Putting real numbers to this for FLBR,
its average daily volume since inception on November 6, 2017, through February 21, 2018, according to Bloomberg, is 17,031 shares.
If their line in the sand is to use ETFs with
an average daily volume of 25,000 shares or higher, then FLBR would miss the cut.
Confirming the massive intraday reversal and breakout was a huge volume spike (nearly 400 %
it average daily volume).
Also the FOMC meeting of 14 - 15 March saw higher than
average daily volume.